Fatores determinantes do endividamento e predição de insolvência: um estudo comparativo entre Brasil e Estados Unidos

Abstract

Since the seminal studies of Modigliani and Miller (1958, 1963) several theories have been developed to explain the firms capital structure. Many empirical studies have emerged to analyze what would in fact be the main determinants of corporate indebtedness. Simultaneously, several insolvency prediction models have emerged that evaluate the financial health conditions of companies. According to the model developed by Altman (1983), the Z'-Score has an ability to evaluate a company's financial capacity with scores that indicate if they are likely to discontinue their activities. Understanding that there are high levels of indebtedness, there are conflicts of interest generating agency costs and, according to the main references of the trade-off (TOT) and pecking order (POT) theories, high indebtedness could lead to bankruptcy risk. The objective of this study is to investigate if there is a relationship between the factors that influence the indebtedness and the degree of insolvency risk of companies in Brazil and in the United States from 2010 to 2017. Data from 1,336 publicly traded companies in these two countries were used, of which 174 were from Brazil, listed on B3 (Brazil, Bolsa, Balcão) and 1,162 from the United States listed on the NYSE (New York Stock Exchange), to assess the determinants of debt through a Linear Regression Model using the Pooled OLS (Ordinary Least Square) model, for two groups of companies, with a higher risk of insolvency, and with a lower insolvency risk according to the Altman Z'-Score (1983) for each of the countries. The empirical evidences found in this research allows us to affirm that the factors that influence indebtedness are related to the risk of insolvency. Analyzing the relationship between each of the six independent variables of the debt and the Z'-Score, the variables Profitability (RENT), Size (TAM) in the United States, and Volatility (VOLAT) and Profitability (RENT), in the case of Brazil , presented moderate or strong correlations and at the same time reliable p-value test results, having significant coefficients in the regression tests. The higher the volatility, the lower the Z'-Score (the greater the risk of insolvency) for Brazilian companies. The greater the Volatility (VOLAT) in companies with insolvency risk, the greater the indebtedness. In the case, in both American and Brazilian companies, Profitability (RENT) presented a positive relation with the Z'-Score. And the Variable Size (TAM) had a positive correlation coefficient with the Z'-Score. The higher the profitability, or the greater the size of the company, the lower the risk of insolvency, supported by the pecking order theory and the dynamic trade-off theory.